RMBS

  • Subprime originator settles

    The US SEC has charged H&R Block subsidiary Option One Mortgage Corporation with misleading subprime RMBS investors in several offerings by failing to disclose its deteriorating financial condition. Option One, now known as Sand Canyon Corporation, has paid US$28.2m to settle the charges.

    The SEC says Option One promised to repurchase or replace mortgages that breached reps and warranties for .......

    Job Swaps 25 April 2012

  • ML II prices disclosed

    The Federal Reserve last week disclosed the amount it received from Credit Suisse and Goldman Sachs in the Q1 Maiden Lane II auctions. Credit Suisse paid US$6.81bn (52%) on the US$13bn in current face that it purchased in the first and third auctions, while Goldman Sachs paid US$3.53bn (57%) on the US$6.2bn in current face that it purchased in the .......

    News Round-up 24 April 2012

  • Take two for DOURM

    A second Douro RMBS tender offer from Banco BPI was the highlight of last week's European buy-back news. DOURM sent the focus on peripheral RMBS tenders into overdrive in January with the Portuguese market at the time rallying by 6-7 points, yet ultimate take-up at just 7% of bonds outstanding proved to be disappointing (SCI 17 January).

    With prices now .......

    News Round-up 24 April 2012

  • MBIA 'transformation' trial scheduled

    At the 20 April hearing in the New York State Supreme Court (SCI 10 April), Justice Barbara Kapnick ruled that a trial should take place starting on 14 May in the Article 78 action against MBIA and the New York State Insurance Department (NYID) over the US$5bn restructuring of MBIA Insurance in February 2009. Four weeks have been set aside .......

    News Round-up 23 April 2012

  • Non-conforming boost for ABS fund

    Volta Finance, the permanent capital vehicle managed by Axa Investment Managers Paris, has reported a March mark-to-market valuation of +139.1% for its ABS positions, thanks in part to six UK non-conforming ABS deals in its portfolio resuming payment of significant cashflows. The value of these six deals increased by €4.7m or €0.15 per share in March.

    "Thanks to the Bank .......

    News Round-up 20 April 2012

  • Fannie Mae sees robust multifamily issuance

    Fannie Mae issued US$7.1bn of multifamily MBS in 1Q12 backed by new multifamily loans. The agency also resecuritised US$2.6bn of DUS MBS through its Fannie Mae Guaranteed Multifamily Structures (Fannie Mae GeMS) programme in the first quarter.

    "The strength of the Agency CMBS market is evidenced by robust volumes coincident with improving credit quality," says Kimberly Johnson, Fannie Mae vp of multifamily .......

    News Round-up 20 April 2012

  • Short sales positive for US RMBS

    The trend towards more short sales of distressed residential real estate loans in the US is gaining momentum, according to Fitch. The Federal Housing Finance Agency's (FHFA) recent announcement that government-sponsored enterprises (GSEs) will implement rules to expedite short sales should further drive activity.

    "Expanded use of short sales could be positive for RMBS trusts, as this strategy could improve .......

    News Round-up 20 April 2012

  • Discounted sales weigh on Spanish RMBS

    Fitch reports that achieved sales prices on repossessed properties in Spain are 48% lower, on average, than the valuations conducted at the time of loan origination. The agency has analysed loan-by-loan repossession data on Fitch-rated Spanish structured finance transactions, the majority of which relates to residential properties.

    "The significant discount of achieved sale prices from initial valuations reflects the distressed .......

    News Round-up 19 April 2012

  • Servicer 'clawback' practices in the spotlight

    Morningstar has published a report that sheds light on residential mortgage servicer cashflow management practices, which reimburse them for previous advances from the collection account of current, creditworthy borrowers. The agency notes that such tactics are little known but are becoming increasingly more common.

    These cashflow management practices are allowed when stipulated by pooling and servicing agreements (PSA), but implementation .......

    News Round-up 18 April 2012

  • Spanish scenario analysis released

    Severe mortgage arrears in Spain may rise to a peak of 3.2% by the end of 2012 from 2.8% at the end of 2011, under baseline economic assumptions, according to a new scenario analysis report by S&P. However, in a more pessimistic scenario - where economic conditions worsen more than are currently forecast - the agency's analysis suggests that severe .......

    News Round-up 17 April 2012

  • Minimal EMEA ABS impairments recorded

    Moody's says that EMEA ABS has performed as expected since the onset of the financial crisis. Between 1January 2007 and 31 December 2011, the migration of investment grade securities to impairment/default was minimal.

    Twenty-three EMEA ABS tranches rated investment grade at closing across 14 transactions became impaired during the period, amounting to 1% of 2,127 investment grade EMEA ABS tranches .......

    News Round-up 17 April 2012

  • Paragon pension claim possible

    Moody's has updated its analysis of potential legal risks in transactions originated by members of The Paragon Group to take into account recent legal developments. The agency finds that the risk of a Paragon SPV being subject to a pensions claim is not sufficiently remote as to be excluded from its ratings analysis. However, it considers the risk of a .......

    News Round-up 16 April 2012

  • AEGON eyes dollar demand

    AEGON Levensverzekering is in the market with Saecure 11. If - as expected - the transaction includes a US$500m three-year class A1a tranche, it will be the first Dutch RMBS in several years to tap dollar investors.

    Another noteworthy feature of the deal is its long note maturity, reflecting the long maturity dates of a significant proportion of loans in .......

    News Round-up 13 April 2012

  • MBS, ABS heads moving on

    Gleacher & Company Securities' head of MBS, ABS and rates and head of trading for MBS, ABS and rates are both leaving the firm. Robert Fine and Robert Tirschwell will each remain with the company on a temporary basis. Gleacher says it is considering both internal and external candidates for the positions.

    .......

    Job Swaps 13 April 2012

  • Divergent UK mortgage arrears

    Mortgage arrears in the UK are rising faster in the north of the country than in the south, says S&P. 4Q11 data from a sample of 1.5 million loans backing UK RMBS shows mortgage borrowers in the north are around 30% more likely to be in arrears than those in the south.

    The equity positions of UK borrowers have also .......

    News Round-up 11 April 2012

  • GSE principal forgiveness ruled out

    FHFA acting director Edward DeMarco has commented on the use of Treasury incentives to forgive principal on underwater borrowers, affirming a preference for forbearance over forgiveness. The announcement effectively rules out any principal forgiveness for GSE loans.

    Among his reasons for ruling out principal forgiveness, DeMarco notes that less than one million of the 11 million underwater borrowers would benefit .......

    News 11 April 2012

  • Portuguese RMBS performance overestimated

    Performance indicators for Portuguese mortgage loans securitised in RMBS transactions are misleading, says Fitch. The agency notes that originating banks' support for borrowers is masking the trust extent of past underperformance.

    House price indices also appear to significantly understate the value declines seen on properties sold under forced circumstances and Fitch believes this is hiding the full extent of future .......

    News Round-up 11 April 2012

  • Eurosail clarifications released

    Issuer notices have been published for a number of Lehman Brothers-related UK RMBS transactions clarifying their positions in relation to claims against the company's estate in respect of various hedging agreements.

    According to European asset-backed analysts at RBS, the issuers fall into three broad groups. First are those that have agreed a stipulated claim, for which payouts could commence as .......

    News Round-up 10 April 2012

  • Fannie loan level data added

    Lewtan has added Fannie Mae MBS loan level data through a partnership with Knowledge Decision Services, a provider of fixed income research tools. The web-hosted solution, dubbed agency MBS prepayment-on-demand (POD), is widely used across the financial industry, the two firms say.

    POD contains nearly three decades of performance data. Data is available from Freddie Mac, Fannie Mae and Ginnie .......

    News Round-up 10 April 2012

  • RMBS downgraded on Saxon transfer

    Fitch has downgraded 145 RMBS classes and affirmed one, following the transfer of certain mortgage servicing rights (MSRs) from Saxon Mortgage Services to Ocwen Financial Corporation. At the same time, all classes were removed from negative watch and assigned a negative outlook.

    Of the 145 classes affected, 123 were part of Ocwen's legacy servicing portfolio, nine were part of the .......

    News Round-up 10 April 2012

  • Non-agency payout discrepancies analysed

    Discrepancies between expected cashflows on non-agency RMBS based on collateral and actual bond payouts have increased over the past few years. If measured versus a very simplistic CRR/CDR framework, the differential can be as much as 15%-20%, according to MBS analysts at Barclays Capital.

    Such discrepancies, if not corrected, manifest themselves as over-predicting or under-predicting the cashflow on bonds. The .......

    News Round-up 5 April 2012
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